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Spyaxe Removal

Aagh! I found a new icon in my taskbar this morning, which continually pops up a message saying my computer is infected and telling me to "click here to protect your computer..." That click takes me to the SpyAxe website which asks me to download the program. I didn't do that.
From other forums I have learned about spyaxe and found some things to do to remove it, none of which have worked.
BTW, I have Ad-Aware SE, Spybot and McAfee security suite.
I tried the Smitrem tool, but it didn't work. I downloaded and tried EWIDO, it found some stuff but didn't get rid of Spyaxe.
Can anyone advise me how to proceed?